Personally, I find using the painted caves pretty decent for melee training on stronger pets (GD, Cu). You get tons of free bandages, gold, spellweaving scrolls, karma (I'm a necro mage tamer), and occasionally a usable or imbuable item. (Have found FCR 3 ring, with no other stats before! 4 slots left to imbue as I like...)
I tried shadow ele for the first time the other day and it was great also. You can lead any Yomatsu warrior/priest in the area away, invis, and run back and sick dragon on shadow ele. Running in and out of the mines on foot was a pain in the damn ass though. next time I'm gonna run in, log out and back in and have my dragon brought to me that way. Too twisty to lead it around with any kind of speed and the priests are annoying with all their nukes...
Since you have the magery dragon you'll want it to train magery also. Take it somewhere like swoops where when swoop lands on a rock you can tell pet attack and the dragon will just nuke and fireball swoop and gain in magery. Any unreachable by melee monster will do the trick.